Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0223
Annualized Std Dev 0.2051
Annualized Sharpe (Rf=0%) 0.1088

Row

Daily Return Statistics

Close
Observations 4806.0000
NAs 1.0000
Minimum -0.0974
Quartile 1 -0.0056
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0063
Maximum 0.1357
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0129
Skewness 0.0472
Kurtosis 10.0104

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0093
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5306
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0310
Modified VaR (95%) -0.0183
Modified ES (95%) -0.0220
From Trough To Depth Length To Trough Recovery
2007-10-30 2009-03-09 NA -0.5306 3371 341 NA
2002-01-07 2002-09-30 2004-12-06 -0.4532 684 151 533
2004-12-07 2006-01-20 2006-05-05 -0.1076 356 283 73
2007-07-20 2007-08-15 2007-09-13 -0.0828 39 19 20
2007-02-27 2007-03-05 2007-04-03 -0.0818 26 5 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA 0.7 -0.2 0.5
2002 0.6 0.9 -0.6 0.1 0.3 1.3 1 -2.8 4.1 1 0.1 0.8 7.1
2003 -1.4 0.6 1.3 0.2 1.5 0.6 -0.6 0.2 1.4 -0.6 2.2 1 6.5
2004 1.2 1.5 0.6 -0.2 -0.4 -0.3 -0.3 0.7 2.3 -0.2 2 0.1 7.1
2005 0.1 0.9 -0.6 0.8 -0.5 -0.1 1 0.8 0.1 -0.4 0.6 -0.2 2.3
2006 0 1.4 0.1 0.5 1.6 1.8 -1 0.7 0.9 -1.1 -0.7 0.3 4.6
2007 0.4 -1.7 -0.2 0.6 0.6 0 0.9 2 1 -2.7 0 -0.7 0.3
2008 0.2 -2.4 2.6 1.1 0.4 -0.3 -1.1 -0.8 -0.1 -1.4 -5.9 2.1 -5.8
2009 -0.9 0.8 3.4 1.8 0.6 1 0.6 -2.1 -2.2 -2.8 2 -0.3 1.7
2010 1.1 0.5 0.8 -0.3 -0.5 1.3 -0.1 2.2 1.1 -0.1 1.7 0.7 8.6
2011 1.3 -0.6 0.6 -0.1 -1.5 0.9 0.3 -0.3 -1.6 -2.1 -0.8 0.6 -3.4
2012 0.1 0.3 0.2 0.4 -1 1.9 0.2 0.5 -0.2 1 -0.2 0.9 3.9
2013 1.1 -0.1 -0.1 -0.5 -1.7 0.1 1.4 -0.3 0.7 0 -0.2 0.1 0.5
2014 -0.4 -0.3 0.3 0.2 0.2 0.9 -0.6 0.4 -1.2 1.4 -0.8 -0.8 -0.8
2015 -1.4 0 0.7 0.3 -0.8 0.4 0.1 -2.8 -0.6 0.2 0.5 -0.6 -4
2016 1.2 2 -0.3 -0.1 -0.5 0.4 -0.2 0.3 -0.2 -0.6 -0.3 -0.2 1.5
2017 -0.4 0.6 -0.2 0 0.2 0.1 0.5 -0.6 0.2 0 -0.2 -0.3 0
2018 0.4 -0.9 0.6 -0.6 0.5 0 -0.1 -0.6 0 0.2 0.3 0.1 -0.2
2019 -0.3 0.4 1.4 -0.6 -1.3 0.8 -0.6 -0.1 -0.7 0.7 -0.4 0 -0.8
2020 -1.4 -0.1 -3.8 -1.3 1.5 1.8 0 0.7 1.3 -1 1.7 0.6 -0.1
2021 2.1 2.7 0.4 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-11-16  53.3 SPY    114. -0.0044   0.0145   0.0646  -0.0412   -0.163       NA       NA <NA>     NA    NA       NA
2 2001-11-20  52.7 SPY    115. -0.0084   0.0022   0.0487  -0.0324   -0.175       NA       NA <NA>     NA    NA       NA
3 2001-11-21  51.9 SPY    114. -0.0066  -0.0054   0.0471  -0.0232   -0.183       NA       NA <NA>     NA    NA       NA
4 2001-11-23  52.1 SPY    116.  0.0144   0.0071   0.065   -0.0182   -0.158       NA       NA <NA>     NA    NA       NA
5 2001-11-28  52.0 SPY    113. -0.0181  -0.0127   0.0548  -0.028    -0.163       NA       NA <NA>     NA    NA       NA
6 2001-11-29  51.5 SPY    115.  0.0135   0.0073   0.082   -0.0349   -0.131       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart